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- W2373807100 abstract "Let ■=(X_1, X_2, …, X_m) be a random vector representing stock market price with probability distribution function F(x)=F(x_1, x_2, …,x_m), and let ■=(b_1, b_2, …, b_m) be an investment strategy, where b_i≥0, ∑_ib_i=1. The W(■; ■)=∫log(∑_ib_i·x_i)dF(x_1, …, x_m) is said to be a doubling rate of (■, ■). A strategy b is satd to be optimumal on vector ■ (or distribution function F(■)) if W(■; ■)=max{W(■; ■), for all ■=(b_1, …, b_m):b_i≥0, ∑_ib_i=1}.A core problem of the investment is to find the optimum strategy. The problem is considered in many papers under condition of the distribution function F(■) being known. In this paper, we give a statistical algorithm for the optimum strategy ■ in the case of m=2. and have proved that the estimation is a uniformly distributed statistics." @default.
- W2373807100 created "2016-06-24" @default.
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- W2373807100 date "1989-01-01" @default.
- W2373807100 modified "2023-09-25" @default.
- W2373807100 title "A STATISTICAL APPROXIMATION ALGORITHM OF THE OPTIMUM INVESTMENT STRATEGY" @default.
- W2373807100 hasPublicationYear "1989" @default.
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